Variance Estimation Using Refitted Cross-Validation in Ultrahigh Dimensional Regression
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Publication:4632664
DOI10.1111/j.1467-9868.2011.01005.xzbMath1411.62199arXiv1004.5178OpenAlexW2111162388WikidataQ35733708 ScholiaQ35733708MaRDI QIDQ4632664
Shao-Jun Guo, Ning Hao, Jianqing Fan
Publication date: 30 April 2019
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1004.5178
dimension reductionhigh dimensionalityvariable selectionvariance estimationdata splittingsure screeningrefitted cross-validation
Ridge regression; shrinkage estimators (Lasso) (62J07) Nonparametric estimation (62G05) Statistical ranking and selection procedures (62F07)
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